Dynamic asset allocation with event risk

• 成果类型: Article
• 署名作者: Liu, J; Longstaff, FA; Pan, J
• 署名单位: University of California System; University of California Los Angeles; Massachusetts Institute of Technology (MIT)
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/1540-6261.00523
• 发表日期: 2003
• 页码: 231-259
• 关键词: OPTIMAL PORTFOLIO; consumption; predictability; returns; MARKET; MODEL; securities; valuation; utility; prices

摘要

Major events often trigger abrupt changes in stock prices and volatility. We study the implications of jumps in prices and volatility on investment strategies. Using the event-risk framework of Duffie, Pan, and Singleton (2000), we provide analytical solutions to the optimal portfolio problem. Event risk dramatically affects the optimal strategy An investor facing event risk is less willing to take leveraged or short positions. The investor acts as if some portion of his wealth may become illiquid and the optimal strategy blends both dynamic and buy-and-hold strategies. Jumps in prices and volatility both have important effects.